In this paper the first passage problem is examined for linear and nonlinear systems driven by Poissonian and normal white noise input. The problem is handled step-by-step accounting for the Markov properties of the response process and then by Chapman-Kolmogorov equation. The final formulation consists just of a sequence of matrix-vector multiplications giving the reliability density function at any time instant. Comparison with Monte Carlo simulation reveals the excellent accuracy of the proposed method.

Bucher, C., Di Paola, M. (2015). Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise. PROBABILISTIC ENGINEERING MECHANICS, 41, 121-128 [10.1016/j.probengmech.2015.06.007].

Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise

DI PAOLA, Mario
2015-01-01

Abstract

In this paper the first passage problem is examined for linear and nonlinear systems driven by Poissonian and normal white noise input. The problem is handled step-by-step accounting for the Markov properties of the response process and then by Chapman-Kolmogorov equation. The final formulation consists just of a sequence of matrix-vector multiplications giving the reliability density function at any time instant. Comparison with Monte Carlo simulation reveals the excellent accuracy of the proposed method.
2015
Settore ICAR/08 - Scienza Delle Costruzioni
Bucher, C., Di Paola, M. (2015). Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise. PROBABILISTIC ENGINEERING MECHANICS, 41, 121-128 [10.1016/j.probengmech.2015.06.007].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/193547
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